In most cases, it's not a big deal. You can't really 'roll back' a user-interface query anyway unless there's an error, which is apparently what this is for--but whether set to Yes or No, you still get the 'Are you sure...' prompt.
So if transaction was Yes then your benefit would be that if there were an error, there'd be yet another prompt and you'd get the chance to save or not save changes that were made before the error.
If you have a huge amount of records, then of course setting to No will save some time, but for most ad-hoc queries it's just not that important.
Snapshot mode, is important, and you should always use that especially on combobox sources that won't be updated, since I've seen many a slow-responding combobox get a big boost by changing from dynaset to snapshot.
--Jim